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Citations for "The Determinants of the Variability of Stock Market Prices"

by Sanford J. Grossman & Robert J. Shiller

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  1. Pindyck, Robert S., 1986. "Risk aversion and determinants of stock market behavior," Working papers 1801-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  2. Martin D. Evans & Karen K. Lewis, 1992. "Trends in Expected Returns in Currency and Bond Markets," NBER Working Papers 4116, National Bureau of Economic Research, Inc.
  3. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-80.
  4. Guvenen, Fatih, 2006. "Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1451-1472, October.
  5. Ithurbide, Philippe, 1987. "Le marché de l’or et les bulles rationnelles," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(4), pages 331-356, décembre.
  6. Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003. "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles 3163263, Harvard University Department of Economics.
  7. Russell, Judson W. & Brooks, Robert, 1998. "Managing college tuition inflation using a surplus framework methodology," Financial Services Review, Elsevier, vol. 7(4), pages 257-271.
  8. Filip Abraham & Hilde Leliaert, 1991. "Foreign dependence of individual stock prices: The role of aggregate product market developments," Open Economies Review, Springer, vol. 2(1), pages 1-26, February.
  9. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  10. Jonathan A. Parker, 2003. "Consumption Risk and Expected Stock Returns," American Economic Review, American Economic Association, vol. 93(2), pages 376-382, May.
  11. Jeffrey A. Miron, 1986. "Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption," NBER Working Papers 1845, National Bureau of Economic Research, Inc.
  12. Masanao Aoki & Hiroshi Yoshikawa, 2006. "Stock Prices and the Real Economy: Power Law versus Exponential Distributions," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 1(1), pages 45-73, May.
  13. Pindyck, Robert S, 1984. "Risk, Inflation, and the Stock Market," American Economic Review, American Economic Association, vol. 74(3), pages 335-51, June.
  14. Antunes, João Marques & Fuinhas, José Alberto & Marques, António Cardoso, 2014. "Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
    [Modelling the volatility of gold prices and financial stock indexes: a VAR approach]
    ," MPRA Paper 57017, University Library of Munich, Germany.
  15. Shiller, Robert J, 1981. "The Use of Volatility Measures in Assessing Market Efficiency," Journal of Finance, American Finance Association, vol. 36(2), pages 291-304, May.
  16. A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Papers cond-mat/0109410, arXiv.org.
  17. Alan M. Garber & Charles E. Phelps, 1992. "Economic Foundations of Cost Effective Analysis," NBER Working Papers 4164, National Bureau of Economic Research, Inc.
  18. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio Over the Life-Cycle," NBER Working Papers 6389, National Bureau of Economic Research, Inc.
  19. Benjamin M. Friedman, 1984. "Implications of Government Deficits for Interest Rates, Equity Returns and Corporate Financing," NBER Working Papers 1520, National Bureau of Economic Research, Inc.
  20. Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," DOCUMENTOS DE TRABAJO-CIDSE 011028, UNIVERSIDAD DEL VALLE - CIDSE.
  21. Ellen R. McGrattan & Edward C. Prescott, 2003. "Average Debt and Equity Returns: Puzzling?," Levine's Working Paper Archive 506439000000000367, David K. Levine.
  22. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
  23. Kim, Ho-Yong & Kwon, Okyu & Oh, Gabjin, 2016. "A causality between fund performance and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 439-450.
  24. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2008. "Stock market volatility around national elections," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1941-1953, September.
  25. Brennan, Michael & Xia, Yihong, 1997. "Stock Price Volatility, Learning, and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3zw2w634, Anderson Graduate School of Management, UCLA.
  26. Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.
  27. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
  28. Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.).
  29. Benjamin M. Friedman, 1986. "Implications of Government Deficits for Interest Rates, Equity Returns, and Corporate Financing," NBER Chapters, in: Financing Corporate Capital Formation, pages 67-90 National Bureau of Economic Research, Inc.
  30. Martin D. Evans & Karen K. Lewis, 1992. "Peso Problems and Heterogeneous Trading: Evidence from Excess Returns in Foreign Exchange and Euromarkets," Working Papers 92-13, New York University, Leonard N. Stern School of Business, Department of Economics.
  31. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182 National Bureau of Economic Research, Inc.
  32. Julien Matheron & Kevin E. Beaubrun-Diant, 2008. "Rentabilités d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Économie et Prévision, Programme National Persée, vol. 183(2), pages 35-63.
  33. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
  34. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  35. Robert J. Shiller, 1998. "Social Security and Institutions for Intergenerational, Intragenerational and International Risk Sharing," Cowles Foundation Discussion Papers 1185, Cowles Foundation for Research in Economics, Yale University.
  36. Cerny, Ales & Miles, David K, 2001. "Risk Return and Portfolio Allocation under Alternative Pension Systems with Imperfect Financial Markets," CEPR Discussion Papers 2779, C.E.P.R. Discussion Papers.
  37. Rajnish Mehra & Edward C. Prescott, 1982. "A test of the intertemporal asset pricing model," Staff Report 81, Federal Reserve Bank of Minneapolis.
  38. George Constantinides & John Donaldson & Rajnish Mehra, 2007. "Junior is rich: bequests as consumption," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 125-155, July.
  39. Obstfeld, Maurice, 1994. "International Capital Mobility in the 1990s," CEPR Discussion Papers 902, C.E.P.R. Discussion Papers.
  40. Laurence J. Kotlikoff, 1984. "Taxation and Savings - A Neoclassical Perspective," NBER Working Papers 1302, National Bureau of Economic Research, Inc.
  41. Julio J. Rotemberg, 1982. "Money and the Terms of Trade," NBER Working Papers 1003, National Bureau of Economic Research, Inc.
  42. West, Kenneth D., 1988. "The insensitivity of consumption to news about income," Journal of Monetary Economics, Elsevier, vol. 21(1), pages 17-33, January.
  43. Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
  44. Daniel Belingher, 2015. "A Short-Run Relationship Between 1-Year Bonds Yield And The Domestic Consumption In Romania," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 28-36, April.
  45. Francisco Azeredo, 2014. "The equity premium: a deeper puzzle," Annals of Finance, Springer, vol. 10(3), pages 347-373, August.
  46. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
  47. Rodriguez, Rosa & Restoy, Fernando & Pena, J. Ignacio, 2002. "Can output explain the predictability and volatility of stock returns?," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 163-182, April.
  48. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
  49. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1988. "Mean Reversion in Equilibrium Asset Prices," NBER Working Papers 2762, National Bureau of Economic Research, Inc.
  50. Miles S. Kimball, 1990. "Precautionary Saving and the Marginal Propensity to Consume," NBER Working Papers 3403, National Bureau of Economic Research, Inc.
  51. Russo, Benjamin & Gandar, John M., 2003. "Interest-sensitive wealth and the life-cycle hypothesis: implications for fiscal policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 418-432.
  52. Alan J. Auerbach & Kevin Hassett, 1991. "Corporate Savings and Shareholder Consumption," NBER Chapters, in: National Saving and Economic Performance, pages 75-102 National Bureau of Economic Research, Inc.
  53. Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management qt1s25177n, Anderson Graduate School of Management, UCLA.
  54. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
  55. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  56. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  57. Boyan Jovanovic & Peter L. Rousseau, 2000. "Vintage organization capital," Proceedings, Federal Reserve Bank of San Francisco, issue Apr.
  58. Zvi Bodie & Alex Kane & Robert L. McDonald, 1983. "Why Are Real Interest Rates So High?," NBER Working Papers 1141, National Bureau of Economic Research, Inc.
  59. Flood, Robert P & Hodrick, Robert J, 1986. " Asset Price Volatility, Bubbles, and Process Switching," Journal of Finance, American Finance Association, vol. 41(4), pages 831-42, September.
  60. R.D. Rossiter, 2002. "Term structure of forward exchange premiums: evidence from the 1920s," Journal of Economic Studies, Emerald Group Publishing, vol. 29(1), pages 33-47, January.
  61. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  62. Nongnuch Tantisantiwong, 2004. "Theoretical moment restrictions of commodity prices," Money Macro and Finance (MMF) Research Group Conference 2004 19, Money Macro and Finance Research Group.
  63. John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
  64. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
  65. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
  66. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, Department of Economics and Business Economics, Aarhus University.
  67. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
  68. Nicolaas Groenewold, 2004. "Fundamental share prices and aggregate real output," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 651-661.
  69. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
  70. Miles, David K, 2000. "Funded and Unfunded Pensions: Risk, Return and Welfare," CEPR Discussion Papers 2369, C.E.P.R. Discussion Papers.
  71. Brenda Gonzalez-Hermosillo & Vance Martin & Mardi Dungey & Renee Fry, 2003. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund.
  72. Monique C. Ebell, 2000. "Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination," Econometric Society World Congress 2000 Contributed Papers 1554, Econometric Society.
  73. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.
  74. Dr Justin van de Ven, 2013. "The influence of decision costs on investments in Individual Savings Accounts," NIESR Discussion Papers 407, National Institute of Economic and Social Research.
  75. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
  76. James B. Bullard & John Duffy, 1998. "Learning and excess volatility," Working Papers 1998-016, Federal Reserve Bank of St. Louis.
  77. Wu, Chunchi & Yu, Chih-Hsien, 1996. "Risk aversion and the yield of corporate debt," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 267-281, March.
  78. Stephen F. LeRoy, 1990. "Capital market efficiency: an update," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-40.
  79. Matthew O. Jackson & James Peck, 1997. "Asymmetric Information in a Competitive Market Game: Reexamining the Implications of Rational Expectations," Microeconomics 9711004, EconWPA.
  80. Charles T. Carlstrom & Jagadeesh Gokhale, 1991. "Government consumption, taxation, and economic activity," Economic Review, Federal Reserve Bank of Cleveland, issue Q III, pages 18-29.
  81. Roll, Richard W. & Cornell, Brad, 2004. "A Delegated Agent Asset-pricing model," University of California at Los Angeles, Anderson Graduate School of Management qt9f06903n, Anderson Graduate School of Management, UCLA.
  82. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
  83. Heer, Burkhard & Trede, Mark, 2003. "Efficiency and distribution effects of a revenue-neutral income tax reform," Journal of Macroeconomics, Elsevier, vol. 25(1), pages 87-107, March.
  84. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, 07.
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  87. Behzad T. Diba & Herschel I. Grossman, 1987. "Rational bubbles in stock prices?," Working Papers 87-20, Federal Reserve Bank of Philadelphia.
  88. Robert B. Barsky & J. Bradford De Long, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, Oxford University Press, vol. 108(2), pages 291-311.
  89. Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001 41, Society for Computational Economics.
  90. Dr Justin van de Ven & Dr Martin Weale, 2010. "An Empirical Investigation of Quasi-hyperbolic Discounting," NIESR Discussion Papers 355, National Institute of Economic and Social Research.
  91. Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics.
  92. Wendner, Ronald, 2010. "Conspicuous consumption and generation replacement in a model of perpetual youth," Journal of Public Economics, Elsevier, vol. 94(11-12), pages 1093-1107, December.
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  94. Campbell, John, 1996. "Understanding Risk and Return," Scholarly Articles 3153293, Harvard University Department of Economics.
  95. Benjamin M. Friedman, 1985. "The Substitutability of Debt and Equity Securities," NBER Chapters, in: Corporate Capital Structures in the United States, pages 197-238 National Bureau of Economic Research, Inc.
  96. Matthew D. Shapiro, 1988. "The Stabilization of the U.S. Economy Evidence From the Stock Market," NBER Working Papers 2645, National Bureau of Economic Research, Inc.
  97. Robert E. Hall, 2003. "Dynamics of corporate earnings," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  98. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
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  100. Pedersen, Karsten N., 1991. "Intertemporal substitution in consumption : evidence for some high- and middle-income countries," Policy Research Working Paper Series 641, The World Bank.
  101. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1994. " Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," Journal of Finance, American Finance Association, vol. 49(1), pages 123-52, March.
  102. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  103. Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2011. "Historical financial analogies of the current crisis," Working Papers 11-08, Asociación Española de Economía y Finanzas Internacionales.
  104. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  105. Alberto Giovannini & Pamela Labadie, 1989. "Asset Prices and Interest Rates in Cash-In-Advance Models," NBER Working Papers 3109, National Bureau of Economic Research, Inc.
  106. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July.
  107. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
  108. Dragota, Victor & Mitrica, Eugen, 2004. "Emergent capital markets' efficiency: The case of Romania," European Journal of Operational Research, Elsevier, vol. 155(2), pages 353-360, June.
  109. M. Fatih Guvenen, 2003. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers 499, University of Rochester - Center for Economic Research (RCER).
  110. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
  111. Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
  112. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  113. Benjamin M. Friedman, 1985. "Crowding Out or Crowding In? Evidence on Debt-Equity Substitutability," NBER Working Papers 1565, National Bureau of Economic Research, Inc.
  114. Collard, Fabrice & Fève, Patrick & Ghattassi, Imen, 2005. "Predictability and Habit Persistence," IDEI Working Papers 339, Institut d'Économie Industrielle (IDEI), Toulouse.
  115. Xiaohui Liu & Chang Shu, 2004. "Consumption and stock markets in Asian economies," International Review of Applied Economics, Taylor & Francis Journals, vol. 18(4), pages 483-496.
  116. Zvi Bodie & Alex Kane & Robert McDonald, 1985. "Inflation and the Role of Bonds in Investor Portfolios," NBER Chapters, in: Corporate Capital Structures in the United States, pages 167-196 National Bureau of Economic Research, Inc.
  117. Franklin Allen & Gary Gorton, 1991. "Rational Finite Bubbles," NBER Working Papers 3707, National Bureau of Economic Research, Inc.
  118. Bakshi, Gurdip S. & Chen, Zhiwu & Naka, Atsuyuki, 1995. "Production-based asset pricing in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 217-240, July.
  119. Pamela A. Labadie, 1988. "The effects of stochastic inflation on asset prices," Discussion Paper / Institute for Empirical Macroeconomics 5, Federal Reserve Bank of Minneapolis.
  120. Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001. "US Stock Prices and Macroeconomic Fundamentals," Economics Discussion / Working Papers 01-08, The University of Western Australia, Department of Economics.
  121. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
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  126. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  127. David K. Miles, 2000. "Funded and Unfunded Pension Schemes: Risk, Return and Welfare," CESifo Working Paper Series 239, CESifo Group Munich.
  128. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group.
  129. Shawky, Hany A. & Marathe, Achla, 1995. "Expected stock returns and volatility in a two-regime market," Journal of Economics and Business, Elsevier, vol. 47(5), pages 409-421, December.
  130. Branston, Christopher B. & Groenewold, Nicolaas, 2004. "Investment and share prices: fundamental versus speculative components," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 199-226, August.
  131. Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO.
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  133. Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
  134. Elder, Erick, 1999. "Dynamic Fiscal Policy with Regime-Duration Uncertainty: The Tax-Cut Case," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 29-55, January.
  135. Jinyong Cai & Jagadeesh Gokhale, 1997. "The welfare loss from a capital income tax," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 2-10.
  136. Smith, David C., 1999. "Finite sample properties of tests of the Epstein-Zin asset pricing model," Journal of Econometrics, Elsevier, vol. 93(1), pages 113-148, November.
  137. Petri Maki-Franti, 2008. "Money and stock returns: is there habit formation for holding liquid assets?," International Economic Journal, Taylor & Francis Journals, vol. 22(1), pages 63-80.
  138. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
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  140. Canzoneri, Matthew B. & Dellas, Harris, 1998. "Real interest rates and central bank operating procedures," Journal of Monetary Economics, Elsevier, vol. 42(3), pages 471-494, October.
  141. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  142. Justin van de Ven & Paolo Lucchino, 2013. "Empirical Analysis of Household Savings Decisions in Context of Uncertainty: A Cross-Sectional Approach," Melbourne Institute Working Paper Series wp2013n21, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  143. Wu, C.C. & Lee, Jack C., 2007. "Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)," Economic Modelling, Elsevier, vol. 24(2), pages 329-349, March.
  144. Siddiqi, Hammad, 2016. "Anchoring and Adjustment Heuristic: A Unified Explanation for Asset-Return Puzzles," Risk and Sustainable Management Group Working Papers 229607, University of Queensland, School of Economics.
  145. DeJong, David N. & Ripoll, Marla, 2007. "Do self-control preferences help explain the puzzling behavior of asset prices?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1035-1050, May.
  146. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887 Elsevier.
  147. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  148. Liu, Liqun & Wang, Zijun, 2008. "A note on an interpretation to consumption-based CAPM," Economics Letters, Elsevier, vol. 99(3), pages 443-445, June.
  149. Grant, S. & Quiggin, J., 2001. "The Risk Premium for Equity : Explanations and Implications," Discussion Paper 2001-89, Tilburg University, Center for Economic Research.
  150. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
  151. Benjamin M. Friedman, 1983. "The Substitutability of Debt and Equity Securities," NBER Working Papers 1130, National Bureau of Economic Research, Inc.
  152. David Miles & Ales Cerny, 2001. "Risk, Return and Portfolio Allocation under Alternative Pension Arrangements with Imperfect Financial Markets," CESifo Working Paper Series 441, CESifo Group Munich.
  153. Harold L. Cole & Lee E. Ohanian, 1999. "The Great Depression in the United States from a neoclassical perspective," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-24.
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